国际视角下的错误定价、盈利能力与投资因素的实证研究
发布时间：2021-09-02 11:49
资产定价是金融研究的核心命题。本文围绕资本资产定价模型,以巴基斯坦、中国、美国以及其他发达股票市场为样本,对几个新定价因素进行了实证研究,丰富了现有研究,具有较大的理论意义与实践价值。论文主要包括有关资产定价的五大方面研究:本文前两项部分,研究了新发展的资产定价因素,如盈利能力,投资和基于融资的系统性错误估价（错误定价）因子,对巴基斯坦股票收益的定价作用。本文第三部分,比较了不同构建方法下的Fama-French五个因素表现,并实证研究了基于融资的系统性错误估值因子在中国股票市场上的定价作用。第四项研究检验了在国际市场上,Fama-French盈利因素中的周一效应或周初效应。我们分别考虑了除美国（Fama&French,2017）以外的所有发达国家股票市场、美国市场和中国市场。由于巴基斯坦股票市场日度回报序列中的非流动性问题（零回报比率较大）可能产生虚假的结果,本研究将巴基斯坦排除在样本之外。本文第五部分,将美国股票按盈利（高和低）、投资（高和低）和错误评估程度（低估和高估）变量分类之后,分析了投资者情绪及情绪水平变化对股票预期收益率的影响。此外,该研究也考察了在经济衰退期间,...
【文章来源】：浙江大学浙江省 211工程院校 985工程院校 教育部直属院校
【文章页数】：244 页
【学位级别】：博士
【文章目录】：
Acknowledgements
摘要
ABSTRACT
Chapter 1 Introduction
1.1 General Introduction
1.2 Motivation of the Study
1.3 Objectives of the Study
1.4 Methodology and Research Design
1.5 Major Contributions
1.6 Main Contents of the Dissertation
Chapter 2 Literature Review
2.1 Capital Asset Pricing Model and its Various Versions
2.2 Arbitrage Pricing Theory, Size Premium, and Value Premium
2.3 Profitability, Investment, and the Five-Factor Model
2.4 Financing-Based Misvaluation and Mispricing
2.5 Investor Sentiments and Mispricing
Chapter 3 Theoretical Framework and Methodological Aspects
3.1 Theoretical Framework
3.2 Neoclassical Asset Pricing Theories
3.2.1 General Equilibrium Model
3.2.2 Mean Variance Theory
3.2.3 Static/ Absolute Asset Pricing Models
3.2.4 Dynamic Models
3.3 Behavioral Asset Pricing Theories
3.3.1 Limits to Arbitrage
3.3.2 Investor's Psychology
3.4 Characteristics of Stock Markets
3.4.1 Overview of the Pakistani Stock Market
3.4.2 Overview of the Chinese Stock Market
3.4.3 Overview of the Developed Stock Market
3.5 Statistical Tests
3.5.1 Descriptive Statistics
3.5.2 Empirical Tests
3.5.3 ARCH Models
Chapter 4 Size, Value, Profitability, and Investment Factors: Evidence from Pakistan
4.1 Special Characteristics, Size, Value, and the Three-Factor Model
4.1.1 Introduction
4.1.2 Data and Methodology
4.1.3 Empirical Results and Discussion
4.1.4 Summary and Recommendations
4.2 Profitability, Investment, and the Five-Factor Model
4.2.1 Introduction and Motivation
4.2.2 Data, Variables and Methodology
4.2.3 Descriptive Statistics and Factors Selection
4.2.4 Playing Field
4.2.5 Factors
4.2.6 Model Performance Summary
4.2.7 Time-Series Regressions Results
4.2.8 Robustness Test
4.3 Conclusion
Appendix A
Chapter 5 Mispricing and the Five-Factor Model for the Pakistani Stock Market
5.1 Introduction
5.2 Data and Summary Statistics
5.3 Factor Spanning Tests
5.4 Asset Pricing Tests
5.5 Conclusions
Chapter 6 Financing-Based Risk Factor and the Five-Factor Model for the Chinese Stock Market
6.1 Introduction
6.2 Data, Variables and Methodology
6.2.1 Types and Sources of Data
6.2.2 Overview of the Chinese Stock Market
6.2.3 Factors Construction and Portfolio Formation
6.3 Results
6.4 Financing-Based Misvaluation and the Five-Factor Model
6.4.1 Motivation
6.4.2 Data
6.4.3 Results for UMO factor
6.4.4 Descriptive Statistics and Economic Interpretation
6.4.5 Factor Redundancy Tests
6.5 Conclusion
Chapter 7 Monday Effect in the Profitability and the Short-Term Reversal Factors
7.1 Introduction
7.2 International Evidence on the Monday or Early-in-the-week Effect in Fama-French'sRMW Factor
7.2.1 Methodology and Data
7.2.2 Results
7.2.3 Economic Interpretation
7.3 Monday or Early-in-the-week Effect in the RMW Factor: A Test of the ChineseStock Market
7.3.1 Data and Motivation
7.3.2 Results
7.4 Monday Effect in the Short-Term Reversal Factor: A Test of the Sound Mind EffectHypothesis
7.4.1 Data, Motivation and Results
7.4.2 Economic Interpretation
7.5 Conclusions and Implications
Appendix B
Chapter 8 Investors Sentiments and Mispricing, Profitability, and Investment Factors
8.1 Introduction
8.2 Hypothesis Development
8.3 Data and Methodology
8.3.1 Stock Market Returns (Dependent Variable)
8.3.2 Measures of Investor Sentiment
8.3.3 Macroeconomic Control Variables
8.3.4 Methodology
8.4 Preliminary Tests
8.4.1 Descriptive Statistics
8.4.2 Contemporaneous Sentiment Return Relationship
8.4.3 Causality
8.5 Fama-French's Five Factors,Misvaluation and Economic Recession
8.5.1 Motivation and Data
8.5.2 Findings
8.6 Conclusion
Chapter 9 Conclusion and Future Perspectives
9.1 Summary
9.2 Major Findings
9.3 Future Perspectives
References
攻读学位期间取得的研宄成果
本文编号：3378955
【文章来源】：浙江大学浙江省 211工程院校 985工程院校 教育部直属院校
【文章页数】：244 页
【学位级别】：博士
【文章目录】：
Acknowledgements
摘要
ABSTRACT
Chapter 1 Introduction
1.1 General Introduction
1.2 Motivation of the Study
1.3 Objectives of the Study
1.4 Methodology and Research Design
1.5 Major Contributions
1.6 Main Contents of the Dissertation
Chapter 2 Literature Review
2.1 Capital Asset Pricing Model and its Various Versions
2.2 Arbitrage Pricing Theory, Size Premium, and Value Premium
2.3 Profitability, Investment, and the Five-Factor Model
2.4 Financing-Based Misvaluation and Mispricing
2.5 Investor Sentiments and Mispricing
Chapter 3 Theoretical Framework and Methodological Aspects
3.1 Theoretical Framework
3.2 Neoclassical Asset Pricing Theories
3.2.1 General Equilibrium Model
3.2.2 Mean Variance Theory
3.2.3 Static/ Absolute Asset Pricing Models
3.2.4 Dynamic Models
3.3 Behavioral Asset Pricing Theories
3.3.1 Limits to Arbitrage
3.3.2 Investor's Psychology
3.4 Characteristics of Stock Markets
3.4.1 Overview of the Pakistani Stock Market
3.4.2 Overview of the Chinese Stock Market
3.4.3 Overview of the Developed Stock Market
3.5 Statistical Tests
3.5.1 Descriptive Statistics
3.5.2 Empirical Tests
3.5.3 ARCH Models
Chapter 4 Size, Value, Profitability, and Investment Factors: Evidence from Pakistan
4.1 Special Characteristics, Size, Value, and the Three-Factor Model
4.1.1 Introduction
4.1.2 Data and Methodology
4.1.3 Empirical Results and Discussion
4.1.4 Summary and Recommendations
4.2 Profitability, Investment, and the Five-Factor Model
4.2.1 Introduction and Motivation
4.2.2 Data, Variables and Methodology
4.2.3 Descriptive Statistics and Factors Selection
4.2.4 Playing Field
4.2.5 Factors
4.2.6 Model Performance Summary
4.2.7 Time-Series Regressions Results
4.2.8 Robustness Test
4.3 Conclusion
Appendix A
Chapter 5 Mispricing and the Five-Factor Model for the Pakistani Stock Market
5.1 Introduction
5.2 Data and Summary Statistics
5.3 Factor Spanning Tests
5.4 Asset Pricing Tests
5.5 Conclusions
Chapter 6 Financing-Based Risk Factor and the Five-Factor Model for the Chinese Stock Market
6.1 Introduction
6.2 Data, Variables and Methodology
6.2.1 Types and Sources of Data
6.2.2 Overview of the Chinese Stock Market
6.2.3 Factors Construction and Portfolio Formation
6.3 Results
6.4 Financing-Based Misvaluation and the Five-Factor Model
6.4.1 Motivation
6.4.2 Data
6.4.3 Results for UMO factor
6.4.4 Descriptive Statistics and Economic Interpretation
6.4.5 Factor Redundancy Tests
6.5 Conclusion
Chapter 7 Monday Effect in the Profitability and the Short-Term Reversal Factors
7.1 Introduction
7.2 International Evidence on the Monday or Early-in-the-week Effect in Fama-French'sRMW Factor
7.2.1 Methodology and Data
7.2.2 Results
7.2.3 Economic Interpretation
7.3 Monday or Early-in-the-week Effect in the RMW Factor: A Test of the ChineseStock Market
7.3.1 Data and Motivation
7.3.2 Results
7.4 Monday Effect in the Short-Term Reversal Factor: A Test of the Sound Mind EffectHypothesis
7.4.1 Data, Motivation and Results
7.4.2 Economic Interpretation
7.5 Conclusions and Implications
Appendix B
Chapter 8 Investors Sentiments and Mispricing, Profitability, and Investment Factors
8.1 Introduction
8.2 Hypothesis Development
8.3 Data and Methodology
8.3.1 Stock Market Returns (Dependent Variable)
8.3.2 Measures of Investor Sentiment
8.3.3 Macroeconomic Control Variables
8.3.4 Methodology
8.4 Preliminary Tests
8.4.1 Descriptive Statistics
8.4.2 Contemporaneous Sentiment Return Relationship
8.4.3 Causality
8.5 Fama-French's Five Factors,Misvaluation and Economic Recession
8.5.1 Motivation and Data
8.5.2 Findings
8.6 Conclusion
Chapter 9 Conclusion and Future Perspectives
9.1 Summary
9.2 Major Findings
9.3 Future Perspectives
References
攻读学位期间取得的研宄成果
本文编号：3378955
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